Retour

Joëlle MIFFRE

Professeur

  • Département Finance

Teaching Domains

Marché obligataire
Derivés
Marché des matières premières

Research Domains

Gestion d'Actifs Financiers
Valuation des actifs financiers
Matières premières
Actions

Curriculum vitae

HDR, Finance
Université de Nantes, France (2022)

PhD en Finance
Brunel University, Royaume Uni (1998)

MSc en Finance
Brunel University, Royaume Uni (1994)

Master in Management
ESLSCA, France (1993)

Publications

2023

BIANCHI, R., FAN, J., MIFFRE, J., ZHANG, R. (2023) . Exploiting the dynamics of commodity futures curves, Journal of Banking and Finance, 154 (106965), 106965

FERNANDEZ-PEREZ, A., MIFFRE, J., SCHOEN, T., SCOTT, A. (2023) . Do spot market auction data help price discovery?, Journal of Commodity Markets, 31 (100335), 100335

FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2023) . The negative pricing of the May 2020 WTI contract, Energy Journal, 44 (1), 119-142

2022

RAD, H., LOW, R., MIFFRE, J., FAFF, R. (2022) . The strategic allocation to style-integrated portfolios of commodity futures, Journal of Commodity Markets, 28 (December 2022), 100259

2021

FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2021) . The risk premia of energy futures, Energy Economics, 102 (October 2021), Article N° 105460

2020

FERNANDEZ-PEREZ, A., FUERTES, A., GONZALEZ-FERNANDEZ, M., MIFFRE, J. (2020) . Fear of hazards in commodity futures markets, Journal of Banking and Finance, 119 (October 2020), Article n° 105902

RAD, H., LOW, R., MIFFRE, J., FAFF, R. (2020) . Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?, Journal of Empirical Finance, 58 (September 2020), 164-180

FAN, J., FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2020) . Speculative pressure, Journal of Futures Markets, 40 (4), 575–597

2019

FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2019) . A comprehensive appraisal of style-integration methods, Journal of Banking and Finance, 105 134-150

2018

FERNANDEZ-PEREZ, A., FRIJNS, B., FUERTES, A., MIFFRE, J. (2018) . The skewness of commodity futures returns, Journal of Banking and Finance, 86 143-158

2017

FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2017) . Commodity markets, long-horizon predictability and intertemporal pricing, Review of Finance, 21 (3), 1159-1188

2016

MIFFRE, J. (2016) . Long-short commodity investing: A review of the literature, Journal of Commodity Markets, 1 3-13

FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2016) . Is idiosyncratic volatility priced in commodity futures markets?, International Review of Financial Analysis, 46 219-226

BROOKS, C., FERNANDEZ-PEREZ, A., MIFFRE, J., NNEJI, O. (2016) . Commodity risks and the cross-section of equity returns, British Accounting Review, 48 134-150

2015

FERNANDEZ-PEREZ, A., MIFFRE, J. (2015) . The case for long-short commodity investing, Journal of Alternative Investments, 18 92-104

FERNANDEZ-PEREZ, A., FUERTES, A., MIFFRE, J. (2015) . Commodity strategies based on momentum, term structure and idiosyncratic volatility, Journal of Futures Markets, 35 274-297

2013

FUERTES, A., MIFFRE, J., RALLIS, G. (2013) . Strategic and tactical roles of enhanced commodity indices, Journal of Futures Markets, 33 965-992

BASU, D., MIFFRE, J. (2013) . The performance of simple dynamic commodity strategies, Journal of Alternative Investments, 16 9-18

BASU, D., MIFFRE, J. (2013) . Capturing the risk premium of commodity futures: The role of hedging pressure, Journal of Banking and Finance, 37 2652-2664

BROOKS, C., LI, X., MIFFRE, J. (2013) . Idiosyncratic volatility and the pricing of poorly-diversified portfolios, International Review of Financial Analysis, 30 78-85

BROOKS, C., MIFFRE, J. (2013) . Do long-short speculators destabilize commodity futures markets?, International Review of Financial Analysis, 30 230-240

2012

BROOKS, C., CERNY, A., MIFFRE, J. (2012) . Optimal hedging with higher moments, Journal of Futures Markets, 32 909-944

2010

BROOKS, C., LI, X., MIFFRE, J. (2010) . Transaction costs, trading volume and momentum strategies, The Journal of Trading, 5 66-81

CHONG, J., MIFFRE, J. (2010) . Conditional correlation and volatility in commodity futures and traditional asset markets, Journal of Alternative Investments, 12 61-75

FUERTES, A., MIFFRE, J., RALLIS, G. (2010) . Tactical allocation in commodity futures markets: Combining momentum and term structure signals, Journal of Banking and Finance, 34 2530-2548

2009

FUERTES, A., MIFFRE, J., TAN, W. (2009) . Momentum profits, non-normality risks and the business cycle, Applied Financial Economics, 19 935-953

CHONG, J., MIFFRE, J., STEVENSON, S. (2009) . Conditional correlations and real estate investment trusts, Journal of Real Estate Portfolio Management, 15 173-184

BROOKS, C., LI, X., MIFFRE, J. (2009) . The value premium and time-varying volatility, Journal of Business Finance and Accounting, 36 1252-1272

BROOKS, C., LI, X., MIFFRE, J. (2009) . Low-cost momentum strategies, Journal of Asset Management, 9 366-379

2008

MIFFRE, J. (2008) . Conditional risk premia in international government bond markets, Multinational Finance Journal, 12 185-204

KAT, H., MIFFRE, J. (2008) . The impact of non-normality risks and tactical trading on hedge fund alphas, Journal of Alternative Investments, 10 8-22

BROOKS, C., LI, X., MIFFRE, J., O' SULLIVAN, N. (2008) . Momentum profits and time-varying unsystematic risk, Journal of Banking and Finance, 32 541-558

2007

MIFFRE, J. (2007) . Country-specific ETFs: An efficient approach to global asset allocation, Journal of Asset Management, 8 112-122

MIFFRE, J., RALLIS, G. (2007) . Momentum strategies in commodity futures markets, Journal of Banking and Finance, 31 1863-1886

2004

MIFFRE, J. (2004) . Conditional OLS minimum variance hedge ratios, Journal of Futures Markets, 24 945-964

MIFFRE, J. (2004) . The conditional price of basis risk: An investigation using foreign exchange instruments, Journal of Business Finance and Accounting, 31 1046-1068

2003

MIFFRE, J. (2003) . The cross section of expected futures returns and the Keynesian hypothesis, Applied Financial Economics, 13 731-739

2002

MIFFRE, J. (2002) . Portfolio beta under market segmentation, Derivatives Use, Trading and Regulation, 8 159-168

MIFFRE, J. (2002) . Economic significance of the predictable movements in futures returns, Economic Notes, 31 125-142

MIFFRE, J. (2002) . The predictability of futures returns: Market inefficiency or rational change in required returns?, Applied Financial Economics, 12 715-724

2001

MIFFRE, J. (2001) . Efficiency in the pricing of the FTSE100 futures contract, European Financial Management, 7 9-22

MIFFRE, J. (2001) . Economic activity and time variation in expected futures returns, Economics Letters, 73 73-79

2000

MIFFRE, J., PRIESTLEY, R. (2000) . Sources of systematic risk in futures and spot markets: A study of market integration, Journal of Business Finance and Accounting, 27 933-952

MIFFRE, J. (2000) . Normal backwardation is normal, Journal of Futures Markets, 20 803-821

1995

MIFFRE, J., CLARE, A. (1995) . A note on forecasting the CAC 40 and DAX stock index futures, Applied Economics Letters, 2 327-330

FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2023). Does speculation in futures markets improve hedging decisions?. CEMA 2023 conference.

FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2022). The negative pricing of the May 2020 WTI contract. CEMA 2022 conference.

RAD, H., LOW, R., MIFFRE, J., FAFF, R. (2021). The commodity risk premium and neural networks. French Finance Association Conference.

RAD, H., LOW, R., MIFFRE, J., FAFF, R. (2021). The commodity risk premium and neural networks. CEMA 2021 conference.

RAD, H., LOW, R., MIFFRE, J., FAFF, R. (2021). The risk premium of commodity futures and neural networks. PANORisk conference.

FAN, J., FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2019). Speculative pressure. Financial Engineering and Banking Society conference.

FAN, J., FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2019). Speculative pressure. Conference on Computational and Financial Econometrics.

FERNANDEZ-PEREZ, A., FUERTES, A.-M., & MIFFRE, J. (2018). Harvesting commodity styles: An integrated framework., Commodity Markets Winter Workshop, Audencia Business School.

FERNANDEZ-PEREZ, A., FUERTES, A.-M., & MIFFRE, J. (2018). Harvesting commodity styles: An integrated framework., Frontiers of Factor Investing, Lancaster University Business School.

FAN, J., FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2018). Speculative pressure. PanoRisk conference, Audencia Business School.

FERNANDEZ-PEREZ, A., FUERTES, A.-M., & MIFFRE, J. (2017). Harvesting commodity styles: An integrated framework., PanoRisk conference.

MIFFRE, J. (2017). What does the future hold for commodity risk premia investing?. Barclays European Quantitative Investment Strategies Conference.

FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2021). On the negative pricing of WTI crude oil futures. Global Commodities Applied Research Digest, J.P. Morgan Center for Commodities.

MIFFRE, J., FERNANDEZ-PEREZ, A., FUERTES, A. -M. (2020). Fear of Hazards in Commodity Markets, Global Commodities Applied Research Digest, J.P. Morgan Center for Commodities, Summer 2020.

FERNANDEZ-PEREZ, A., FUERTES, A. -M., MIFFRE, J. (2018). Harvesting commodity styles: A flexible integration framework,. Global Commodities Applied Research Digest, J.P. Morgan Center for Commodities.

FERNANDEZ-PEREZ, A., FRIJNS, B., FUERTES, A. -M., MIFFRE, J. (2017). The skewness of commodity futures returns,. Global Commodities Applied Research Digest, J.P. Morgan Center for Commodities, Winter 2017.

FERNANDEZ-PEREZ, A., FUERTES, A.-M., MIFFRE, J. (2017). Is idiosyncratic volatility priced in commodity futures markets?,. Global Commodities Applied Research Digest, Spring 2017, 2, 1.

Professional Conferences

MIFFRE, J. (2021). Absolute return from commodities strategies through style integration and machine learning. UBS Commodities Virtual Conference.

MIFFRE, J. (2020). UBS risk premia conference, Panel discussion on commodity risk premia.

MIFFRE, J. (2017). What does the future hold for commodity risk premia investing?. Barclays European Quantitative Investment Strategies Conference.

Scientific activities

Reviewer revue académique

Journal of Futures Markets Depuis 2022

Energy Economics Depuis 2021

Financial Management Depuis 2021

Energy Journal Depuis 2021

Pacific-Basin Finance Journal Depuis 2021

Journal of Commodity Markets Depuis 2020

Review of Finance Depuis 2020

Journal of Empirical Finance Depuis 2020

Journal of Financial and Quantitative Analysis Depuis 2020

American Journal of Agricultural Economics Depuis 2020

Economic Modelling Depuis 2020

Energy Economics Depuis 2020

Journal of Banking and Finance , 2019 - 2019

Review of Finance , 2019 - 2019

Journal of Commodity Markets , 2019 - 2019

Journal of Banking and Finance , 2018 - 2018

Journal of International Money and Finance , 2018 - 2018

Journal of Finance , 2017 - 2017

Editeur associé d'une revue de recherche

Modern Finance Depuis 2023

Journal of Futures Markets Depuis 2022

Commodities Depuis 2021

Journal of Risk and Financial Management , 2020 - 2023

Finance Research Letters , 2015 - 2020

Journal of Commodity Markets Depuis 2015

International Review of Financial Analysis , 2014 - 2018

Journal of Banking and Finance Depuis 2014

Membre Comité scientifique d'une association académique

Commodity Insights Digest Depuis 2023

Awards and Honors

  • Award for the best paper presented at the CEMA 2017 conference, Harvesting commodity styles: An integrated framework (with A. Fernandez-Perez and A.-M. Fuertes) , 2017
  • Award for the best paper published in 2016 in the British Accounting Review, Commodity risks and the cross-section of equity returns (with C. Brooks, A. Fernandez-Perez and O. Nneji) , 2016

Doctoral supervision

Thesis director

2010 - 2015, B. Kandavel : Short-term nodal trading in electricity markets
EDHEC Business School, France

Thesis co-director

- 2021, R. Zhang : Essays on commodity futures investments
Griffith Business School, Australie

- 2021, H. Rad : Commodity risk premia in modern portfolio management
University of Queensland Business School, Australie

2008 - 2014, H. Lei : Exchange traded funds
Cass Business School, Royaume Uni

2005 - 2011, G. Rallis : Commodity trading strategies
Cass Business School, Royaume Uni

2004 - 2008, X. Li : Momentum and value strategies
Cass Business School, Royaume Uni

Thesis Jury Member

- 2022, M. RISSTAD MORTEN : Essays in Financial Economics
,

Thesis Reviewer

M. NOORI : Essays in Empirical Finance
,